JPMorgan iTraxx Index Vol Commentary

Research evidence excerpt

JPMorgan iTraxx Index Vol Commentary

Sales & Trading

EMEA Macro Credit Trading J P M O R G A N

31 July 2026

EOD Commentary

Vol ended unch on the week with flows bid into FOMC and reversed post the event as well as easing concerns on AI capex. Start

of week vol was up 1~2% and we saw aggressive short covering of gamma as market sold off on semi de-grossing, ME escalation

as well as fear of a surprise hike by Fed. HFs bought back their Aug shorts or rolled their short vol further out the calendar, which

drove term steepening. Market bounced back higher on thurs on the back of a dovish Fed and massive short covering in AI-

related names. Vol reversed back into the weekend, and with equity vol collapsed on Friday both RV accounts and short vol

accounts came back selling Sep/Oct vol. Skew steepened on the week with ATM area better offered and local downside better bid.

Table 1: Main and XO 3M Vol Summary

(Data Source: J.P. Morgan)

Table 2: Fixed-strike Vol Change of Day

Table 3: X-Asset 3M IV - #Contracts 100mm Main Options Could Buy